Evalueserve
Website:
evalueserve.com
Job details:
MODEL RISK MANAGEMENT
Department: Risk and Quants
Location: Gurgaon / Bangalore
Key Responsibilities
• Review and validate derivative pricing and risk models across asset classes.
• Develop and validate risk modelling frameworks for both market risk and counterparty credit risk.
• Development and Implementation of benchmark models and methodologies in C++, Python, R etc.
• Perform independent model testing and assess assumptions, limitations, and model framework.
• Develop, Implement, and backtest regulatory models such as IRRBB, FRTB, RNIV and VaR/ES.
• Prepare coherent and comprehensive documentation reports.
• Lead and mentor the team of Analysts.
• Provide in-depth technical knowledge in existing and prospective client meetings.
• Take responsibility for analysis, presentations, product demonstrations and fully manage the proof of concepts and full-fledged projects.
• Preparation and delivery for detailed presentations and workshops.
• Ability to deliver presentations and demonstrations to prospects.
• Be able to articulate solution offerings and the scope and approach in responses for RFIs/RFPs.
Required Qualifications
• Master in Financial Engineering / Statistics / Economics / Mathematics or B.Tech. / MBA Finance from Tier 1 college.
• Certifications such as CFA, FRM, CQF, IIQF is a plus.
• Good knowledge of one or more asset classes (Equity, Rates, FX etc.).
• Good experience in market risk / model validation role.
• Strong Financial Mathematics for derivative pricing; Monte Carlo, PDEs and numerical integration.
• Knowledge in advanced derivatives modelling and knowledge of volatility models preferred.
• Knowledge of market risk regulations and experience in implementation of regulatory models.
• Strong proficiency in one or more of the following programming languages: C++, Python, R, MATLAB.
• Strong regulatory understanding such as BASEL, CCAR, DFAST, CECL, SR-11/7 etc.
• Understanding of market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the client's business.
• Robust verbal, written and interpersonal communication skills.
• Excellent presentation and report writing skills.
• Self-starter with strong problem-solving skills.
• Project management and leadership qualities.
Disclaimer: The following job description serves as an informative reference for the tasks you may be required to perform. However, it does not constitute an integral component of your employment agreement and is subject to periodic modifications to align with evolving circumstances.
Please Note: We appreciate the accuracy and authenticity of the information you provide, as it plays a key role in your candidacy. As part of the Background Verification Process, we may verify your employment, education, and other details. Please ensure all information is factual and submitted on time. For any assistance, your recruiter is available to support you.
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